Description Usage Arguments Details Author(s)
Chart the efficient frontier and risk-return scatter of
the assets for optimize.portfolio
or
efficient.frontier
objects
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 | chart.EfficientFrontier(object, ...)
## S3 method for class 'optimize.portfolio.ROI'
chart.EfficientFrontier(object, ..., match.col = "ES", n.portfolios = 25,
xlim = NULL, ylim = NULL, cex.axis = 0.8,
element.color = "darkgray",
main = "Efficient Frontier", RAR.text = "SR", rf = 0,
tangent.line = TRUE, cex.legend = 0.8,
chart.assets = TRUE, labels.assets = TRUE,
pch.assets = 21, cex.assets = 0.8)
## S3 method for class 'optimize.portfolio'
chart.EfficientFrontier(object, ..., match.col = "ES", n.portfolios = 25,
xlim = NULL, ylim = NULL, cex.axis = 0.8,
element.color = "darkgray",
main = "Efficient Frontier", RAR.text = "SR", rf = 0,
tangent.line = TRUE, cex.legend = 0.8,
chart.assets = TRUE, labels.assets = TRUE,
pch.assets = 21, cex.assets = 0.8)
## S3 method for class 'efficient.frontier'
chart.EfficientFrontier(object, ..., match.col = "ES", n.portfolios = NULL,
xlim = NULL, ylim = NULL, cex.axis = 0.8,
element.color = "darkgray",
main = "Efficient Frontier", RAR.text = "SR", rf = 0,
tangent.line = TRUE, cex.legend = 0.8,
chart.assets = TRUE, labels.assets = TRUE,
pch.assets = 21, cex.assets = 0.8)
|
object |
object to chart. |
... |
passthru parameters to |
match.col |
string name of column to use for risk
(horizontal axis). |
n.portfolios |
number of portfolios to use to plot the efficient frontier. |
xlim |
set the x-axis limit, same as in
|
ylim |
set the y-axis limit, same as in
|
cex.axis |
numerical value giving the amount by which the axis should be magnified relative to the default. |
element.color |
provides the color for drawing less-important chart elements, such as the box lines, axis lines, etc. |
main |
a main title for the plot. |
RAR.text |
string name for risk adjusted return text to plot in the legend. |
rf |
risk free rate. If |
tangent.line |
TRUE/FALSE to plot the tangent line. |
cex.legend |
numerical value giving the amount by which the legend should be magnified relative to the default. |
chart.assets |
TRUE/FALSE to include the assets. |
labels.assets |
TRUE/FALSE to include the asset
names in the plot. |
pch.assets |
plotting character of the assets, same
as in |
cex.assets |
numerical value giving the amount by which the asset points and labels should be magnified relative to the default. |
For objects created by optimize.portfolio with 'DEoptim', 'random', or 'pso' specified as the optimize_method:
The efficient frontier plotted is based
on the the trace information (sets of portfolios tested
by the solver at each iteration) in objects created by
optimize.portfolio
.
For objects created by optimize.portfolio with 'ROI' specified as the optimize_method:
The
mean-StdDev or mean-ETL efficient frontier can be plotted
for optimal portfolio objects created by
optimize.portfolio
.
If match.col="StdDev"
, the mean-StdDev
efficient frontier is plotted.
If match.col="ETL"
(also "ES" or "CVaR"),
the mean-ETL efficient frontier is plotted.
Note that trace=TRUE
must be specified in
optimize.portfolio
GenSA does not return any useable trace information for portfolios tested at each iteration, therfore we cannot extract and chart an efficient frontier.
By default, the tangency portfolio (maximum Sharpe Ratio
or modified Sharpe Ratio) will be plotted using a risk
free rate of 0. Set rf=NULL
to omit this from the
plot.
Ross Bennett
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.